US CLO Single-B Impairment Rates by Vintage
The 2018 vintage has experienced the highest impairment rate so far, with approximately 19% of single-B rated tranches having become impaired. Unfortunately, this rate is expected to rise further...
The 2018 vintage has experienced the highest impairment rate so far, with approximately 19% of single-B rated tranches having become impaired. Unfortunately, this rate is expected to rise further...
A sample of 351 fully repaid single-B tranches is included in this study. Overall, their performance has been very impressive, with an average realised IRR exceeding that of equity tranches. In addition, single-B tranches generally carry lower risk than equity, given their second-loss position in the capital structure.
Yesterday saw a fairly long list of EU CLO single-B tranches on BWIC, providing useful colour on the single-B secondary market, albeit largely in odd-lot sizes. Single-B tranches are also regarded as alternatives to CLO equity, given their expected low-teen returns and potentially lower risk profile owing to their second-loss position.
Apart from the 12 deals previously mentioned, there are 29 additional deals, as outlined in the table below, that would experience impairment in their single-B tranches under a scenario in which underlying assets...
Please refer to the tables below for historical new issue pricing data of EU CLO BB–B across various market conditions.
Redeemed EU CLO Single-B Tranches: IRRs By Vintage 106 redeemed single B tranches (original and refinanced/reset) are included in this...
